Practical computing for finite moment log-stable distributions to model financial risk
DOI10.1007/S11222-014-9478-9zbMATH Open1331.91195OpenAlexW1972912888MaRDI QIDQ5963822FDOQ5963822
Publication date: 23 February 2016
Published in: Statistics and Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11222-014-9478-9
Recommendations
Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60)
Cites Work
- The pricing of options and corporate liabilities
- Title not available (Why is that?)
- A Method for Simulating Stable Random Variables
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- Numerical calculation of stable densities and distribution functions
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- A Comedy of Errors: The Canonical Form for a Stable Characteristic Function
- Tables and graphs of the stable probability density functions
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- Margrabe's option to exchange in a Paretian-stable subordinated market.
Cited In (4)
- Title not available (Why is that?)
- Fast parallel \(\alpha \)-stable distribution function evaluation and parameter estimation using OpenCL in GPGPUs
- Closed-form option pricing for exponential Lévy models: a residue approach
- Wavelets optimization method for evaluation of fractional partial differential equations: an application to financial modelling
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